Correlation Between AMUNDI MSCI and Lyxor UCITS

Can any of the company-specific risk be diversified away by investing in both AMUNDI MSCI and Lyxor UCITS at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining AMUNDI MSCI and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between AMUNDI MSCI USA and Lyxor UCITS Japan, you can compare the effects of market volatilities on AMUNDI MSCI and Lyxor UCITS and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in AMUNDI MSCI with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of AMUNDI MSCI and Lyxor UCITS.

Diversification Opportunities for AMUNDI MSCI and Lyxor UCITS

0.15

Correlation Coefficient

AMUNDI MSCI  Lyxor UCITS

Average diversification

The 3 months correlation between AMUNDI and Lyxor is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding AMUNDI MSCI USA and Lyxor UCITS Japan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Japan and AMUNDI MSCI is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on AMUNDI MSCI USA are associated (or correlated) with Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Japan has no effect on the direction of AMUNDI MSCI i.e., AMUNDI MSCI and Lyxor UCITS go up and down completely randomly.

Pair Corralation between AMUNDI MSCI and Lyxor UCITS

Assuming the 90 days trading horizon AMUNDI MSCI USA is expected to under-perform the Lyxor UCITS. But the etf apears to be less risky and, when comparing its historical volatility, AMUNDI MSCI USA is 1.4 times less risky than Lyxor UCITS. The etf trades about -0.12 of its potential returns per unit of risk. The Lyxor UCITS Japan is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  21,665  in Lyxor UCITS Japan on March 8, 2024 and sell it today you would earn a total of  295.00  from holding Lyxor UCITS Japan or generate 1.36% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	93.02%
Values	Daily Returns

AMUNDI MSCI USA  vs.  Lyxor UCITS Japan

AMUNDI MSCI USA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days AMUNDI MSCI USA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, AMUNDI MSCI is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Lyxor UCITS Japan

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS Japan are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Lyxor UCITS is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with AMUNDI MSCI and Lyxor UCITS

The main advantage of trading using opposite AMUNDI MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AMUNDI MSCI position performs unexpectedly, Lyxor UCITS can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Lyxor UCITS will offset losses from the drop in Lyxor UCITS's long position.

The idea behind AMUNDI MSCI USA and Lyxor UCITS Japan pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

Check out your portfolio center.

Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.